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Conditional tail expectation and premium calculation

Recurso electrónico / electronic resource
Registro MARC
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1001 ‎$0‎MAPA20120018150‎$a‎Heras, Antonio
24510‎$a‎Conditional tail expectation and premium calculation‎$c‎Antonio Heras, Beatriz Balbás, José Luis Vilar
520  ‎$a‎In this paper we calculate premiums which are based on the minimization of the Expected Tail Loss or Conditional Tail Expectation (CTE) of absolute loss functions. The methodology generalizes well known premium calculation procedures and gives sensible results in practical applications. The choice of the absolute loss becomes advisable in this context since its CTE is easy to calculate and to understand in intuitive terms. The methodology also can be applied to the calculation of the VaR and CTE of the loss associated with a given premium.
650 1‎$0‎MAPA20080581886‎$a‎Primas de seguros
650 1‎$0‎MAPA20080589356‎$a‎Cálculo de la prima
650 1‎$0‎MAPA20080586348‎$a‎Métodos de cálculo
650 1‎$0‎MAPA20080602437‎$a‎Matemática del seguro
7001 ‎$0‎MAPA20080665852‎$a‎Balbás, Beatriz
7001 ‎$0‎MAPA20120018648‎$a‎Vilar, José Luis
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎07/05/2012 Volumen 42 Número 1 - mayo 2012 , p. 325-342